Structural damage identification based on self-fitting ARMAX model and multi-sensor data fusion

Statistical time series methods have proven to be a promising technique in structural health monitoring, since it provides a direct form of data analysis and eliminates the requirement for domain transformation. Latest research in structural health monitoring presents a number of statistical models that have been successfully used to construct quantified models of vibration response signals. Although a majority of these studies present viable results, the aspects of practical implementation, statistical model construction and decision-making procedures are often vaguely defined or omitted from presented work. In this article, a comprehensive methodology is developed, which essentially utilizes an auto-regressive moving average with exogenous input model to create quantified model estimates of experimentally acquired response signals. An iterative self-fitting algorithm is proposed to construct and fit the auto-regressive moving average with exogenous input model, which is capable of integrally finding an optimum set of auto-regressive moving average with exogenous input model parameters. After creating a dataset of quantified response signals, an unlabelled response signal can be identified according to a 'closest-fit' available in the dataset. A unique averaging method is proposed and implemented for multi-sensor data fusion to decrease the margin of error with sensors, thus increasing the reliability of global damage identification. To demonstrate the effectiveness of the developed methodology, a steel frame structure subjected to various bolt-connection damage scenarios is tested. Damage identification results from the experimental study suggest that the proposed methodology can be employed as an efficient and functional damage identification tool. © The Author(s) 2014.

A model to estimate the US term structure of interest rates

The US term structure of interest rates plays a central role in fixed-income analysis. For example, estimating accurately the US term structure is a crucial step for those interested in analyzing Brazilian Brady bonds such as IDUs, DCBs, FLIRBs, EIs, etc. In this work we present a statistical model to estimate the US term structure of interest rates. We address in this report all major issues which drove us in the process of implementing the model developed, concentrating on important practical issues such as computational efficiency, robustness of the final implementation, the statistical properties of the final model, etc. Numerical examples are provided in order to illustrate the use of the model on a daily basis.

Robust statistical modeling of portfolios

Atypical points in the data may result in meaningless e±cient frontiers. This follows since portfolios constructed using classical estimates may re°ect neither the usual nor the unusual days patterns. On the other hand, portfolios constructed using robust approaches are able to capture just the dynamics of the usual days, which constitute the majority of the business days. In this paper we propose an statistical model and a robust estimation procedure to obtain an e±cient frontier which would take into account the behavior of both the usual and most of the atypical days. We show, using real data and simulations, that portfolios constructed in this way require less frequent rebalancing, and may yield higher expected returns for any risk level.

Cálculo do Value at Risk (VaR) para o Ibovespa, pós crise de 2008, por meio dos modelos de heterocedasticidade condicional (GARCH) e de volatilidade estocástica (Local Scale Model - LSM)

O objetivo deste estudo é propor a implementação de um modelo estatístico para cálculo da volatilidade, não difundido na literatura brasileira, o modelo de escala local (LSM), apresentando suas vantagens e desvantagens em relação aos modelos habitualmente utilizados para mensuração de risco. Para estimação dos parâmetros serão usadas as cotações diárias do Ibovespa, no período de janeiro de 2009 a dezembro de 2014, e para a aferição da acurácia empírica dos modelos serão realizados testes fora da amostra, comparando os VaR obtidos para o período de janeiro a dezembro de 2014. Foram introduzidas variáveis explicativas na tentativa de aprimorar os modelos e optou-se pelo correspondente americano do Ibovespa, o índice Dow Jones, por ter apresentado propriedades como: alta correlação, causalidade no sentido de Granger, e razão de log-verossimilhança significativa. Uma das inovações do modelo de escala local é não utilizar diretamente a variância, mas sim a sua recíproca, chamada de “precisão” da série, que segue uma espécie de passeio aleatório multiplicativo. O LSM captou todos os fatos estilizados das séries financeiras, e os resultados foram favoráveis a sua utilização, logo, o modelo torna-se uma alternativa de especificação eficiente e parcimoniosa para estimar e prever volatilidade, na medida em que possui apenas um parâmetro a ser estimado, o que representa uma mudança de paradigma em relação aos modelos de heterocedasticidade condicional.

Termodinâmica de um gás de fótons no contexto de eletrodinâmicas não-lineares

The objective of this dissertation is the development of a general formalism to analyze the thermodynamical properties of a photon gas under the context of nonlinear electrodynamics (NLED). To this end it is obtained, through the systematic analysis of Maxwell s electromagnetism (EM) properties, the general dependence of the Lagrangian that describes this kind of theories. From this Lagrangian and in the background of classical field theory, we derive the general dispersion relation that photons must obey in terms of a background field and the NLED properties. It is important to note that, in order to achieve this result, an aproximation has been made in order to allow the separation of the total electromagnetic field into a strong background electromagnetic field and a perturbation. Once the dispersion relation is in hand, the usual Bose-Einstein statistical procedure is followed through which the thermodynamical properties, energy density and pressure relations are obtained. An important result of this work is the fact that equation of state remains identical to the one obtained under EM. Then, two examples are made where the thermodynamic properties are explicitly derived in the context of two NLED, Born-Infelds and a quadratic approximation. The choice of the first one is due to the vast appearance in literature and, the second one, because it is a first order approximation of a large class of NLED. Ultimately, both are chosen because of their simplicity. Finally, the results are compared to EM and interpreted, suggesting possible tests to verify the internal consistency of NLED and motivating further developement into the formalism s quantum case

Fermionic bright soliton in a boson-fermion mixture

We use a time-dependent dynamical mean-field-hydrodynamic model to study the formation of fermionic bright solitons in a trapped degenerate Fermi gas mixed with a Bose-Einstein condensate in a quasi-one-dimensional cigar-shaped geometry. Due to a strong Pauli-blocking repulsion among spin-polarized fermions at short distances there cannot be bright fermionic solitons in the case of repulsive boson-fermion interactions. However, we demonstrate that stable bright fermionic solitons can be formed for a sufficiently attractive boson-fermion interaction in a boson-fermion mixture. We also consider the formation of fermionic solitons in the presence of a periodic axial optical-lattice potential. These solitons can be formed and studied in the laboratory with present technology.

Free expansion of fermionic dark solitons in a boson-fermion mixture

We use a time-dependent dynamical mean-field-hydrodynamic model to study the formation of fermionic dark solitons in a trapped degenerate Fermi gas mixed with a Bose-Einstein condensate in a harmonic as well as a periodic optical-lattice potential. The dark soliton with a 'notch' in the probability density with a zero at the minimum is simulated numerically as a nonlinear continuation of the first vibrational excitation of the linear mean-field-hydrodynamic equations, as suggested recently for pure bosons. We study the free expansion of these dark solitons as well as the consequent increase in the size of their central notch and discuss the possibility of experimental observation of the notch after free expansion.

Mean-field equations for cigar- and disc-shaped Bose and Fermi superfluids

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Josephson oscillation of a superfluid Fermi gas

Using the complete numerical solution of a time-dependent three-dimensional rnean-field model we study the Josephson oscillation of a superfluid Fermi gas (SFG) at zero temperature formed in a combined axially-symmetric harmonic plus one-dimensional periodic optical-lattice (OL) potentials after displacing the harmonic trap along the axial OL axis. We study the dependence of Josephson frequency on the strength of the OL potential. The Josephson frequency decreases with increasing strength as found in the experiment of Cataliotti et al. [Science 293, 843 (2001)] for a Bose-Einstein condensate and of the experiment of Pezze et al. [Phys. Rev. Lett. 93, 120401 (2004)] for an ideal Fermi gas. We demonstrate a breakdown of Josephson oscillation in the SFG for a large displacement of the harmonic trap. These features of Josephson oscillation of a SFG can be tested experimentally.

Constrained optimization model for the design of an adaptive (X)over-bar chart

An economic-statistical model is developed for variable parameters (VP) (X) over bar charts in which all design parameters vary adaptively, that is, each of the design parameters (sample size, sampling interval and control-limit width) vary as a function of the most recent process information. The cost function due to controlling the process quality through a VP (X) over bar chart is derived. During the optimization of the cost function, constraints are imposed on the expected times to signal when the process is in and out of control. In this way, required statistical properties can be assured. Through a numerical example, the proposed economic-statistical design approach for VP (X) over bar charts is compared to the economic design for VP (X) over bar charts and to the economic-statistical and economic designs for fixed parameters (FP) (X) over bar charts in terms of the operating cost and the expected times to signal. From this example, it is possible to assess the benefits provided by the proposed model. Varying some input parameters, their effect on the optimal cost and on the optimal values of the design parameters was analysed.

Stable two-dimensional dispersion-managed soliton

The existence of a dispersion-managed soliton in two-dimensional nonlinear Schrodinger equation with periodically varying dispersion has been explored. The averaged equations for the soliton width and chirp are obtained which successfully describe the long time evolution of the soliton. The slow dynamics of the soliton around the fixed points for the width and chirp are investigated and the corresponding frequencies are calculated. Analytical predictions are confirmed by direct partial differential equation (PDE) and ordinary differential equation (ODE) simulations. Application to a Bose-Einstein condensate in optical lattice is discussed. The existence of a dispersion-managed matter-wave soliton in such system is shown.

Bright vortex solitons in bose condensates

We suggest the possibility of observing and studying bright vortex solitons in attractive Bose-Einstein condensates in three dimensions with a radial trap. Such systems lie on the verge of critical stability and we discuss the conditions of their stability. We study the interaction between two such solitons. Unlike the text-book solitons in one dimension, the interaction between two radially trapped and axially free three-dimensional solitons is inelastic in nature and involves exchange of particles and deformation in shape. The interaction remains repulsive for all phase δ between them except for δ ≈ 0.

Improving methods in gap ecology: Revisiting size and shape distributions using a model selection approach

Questions: We assess gap size and shape distributions, two important descriptors of the forest disturbance regime, by asking: which statistical model best describes gap size distribution; can simple geometric forms adequately describe gap shape; does gap size or shape vary with forest type, gap age or the method used for gap delimitation; and how similar are the studied forests and other tropical and temperate forests? Location: Southeastern Atlantic Forest, Brazil. Methods: Analysing over 150 gaps in two distinct forest types (seasonal and rain forests), a model selection framework was used to select appropriate probability distributions and functions to describe gap size and gap shape. The first was described using univariate probability distributions, whereas the latter was assessed based on the gap area-perimeter relationship. Comparisons of gap size and shape between sites, as well as size and age classes were then made based on the likelihood of models having different assumptions for the values of their parameters. Results: The log-normal distribution was the best descriptor of gap size distribution, independently of the forest type or gap delimitation method. Because gaps became more irregular as they increased in size, all geometric forms (triangle, rectangle and ellipse) were poor descriptors of gap shape. Only when small and large gaps (> 100 or 400m2 depending on the delimitation method) were treated separately did the rectangle and isosceles triangle become accurate predictors of gap shape. Ellipsoidal shapes were poor descriptors. At both sites, gaps were at least 50% longer than they were wide, a finding with important implications for gap microclimate (e.g. light entrance regime) and, consequently, for gap regeneration. Conclusions: In addition to more appropriate descriptions of gap size and shape, the model selection framework used here efficiently provided a means by which to compare the patterns of two different types of forest. With this framework we were able to recommend the log-normal parameters μ and σ for future comparisons of gap size distribution, and to propose possible mechanisms related to random rates of gap expansion and closure. We also showed that gap shape varied highly and that no single geometric form was able to predict the shape of all gaps, the ellipse in particular should no longer be used as a standard gap shape. © 2012 International Association for Vegetation Science.

Non-destructive linear model for leaf area estimation in Vernonia ferruginea Less

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Equação de Schrödinger não linear com coeficientes modulados

Pós-graduação em Física - FEG